Schedules

Tom Hyer

Chapter 8 in Derivatives Algorithms:Volume 1: Bones, 2015, pp 147-172 from World Scientific Publishing Co. Pte. Ltd.

Abstract: When we attempt to apply mathematical techniques to financial instruments, there is a constant tension between the “pure” mathematical regime – of continuously compounded rates, uniform daycounts, and so forth – and the idiosyncratic real world, with its profusion of entrenched conventions. This is particularly pronounced in fixed income, but is an issue for any underlying. The unifying goal of schedule code is to bridge this divide by providing to the mathematical side the tools to encapsulate these conventions and quarantine them so we can get on with our real work. We make no pretense that schedules are interesting, but they are crucial.

Keywords: Derivatives; Quantitative; Numerical; Code Generation; C++; C++11; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Extensibility (search for similar items in EconPapers)
Date: 2015
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